We theoretically investigate the superfluid density and Berezinskii-Kosterlitz-Thouless (BKT) transition of a two-dimensional Rashba spin-orbit coupled atomic Fermi gas with both in-plane and out-of-plane Zeeman fields. It was recently predicted that, by tuning the two Zeeman fields, the system may exhibit different exotic Fulde-Ferrell (FF) superfluid phases, including the gapped FF, gapless FF, gapless topological FF and gapped topological FF states. Due to the FF paring, we show that the superfluid density (tensor) of the system becomes anisotropic. When an in-plane Zeeman field is applied along the x -direction, the tensor component along the y-direction ns,yy is generally larger than ns,xx in most parameter space. At zero temperature, there is always a discontinuity jump in ns,xx as the system evolves from a gapped FF into a gapless FF state. With increasing temperature, such a jump is gradually washed out. The critical BKT temperature has been calculated as functions of the spin-orbit coupling strength, interatomic interaction strength, in-plane and out-of-plane Zeeman fields. We predict that the novel FF superfluid phases have a significant critical BKT temperature, typically at the order of 0.1TF , where TF is the Fermi degenerate temperature. Therefore, their observation is within the reach of current experimental techniques in cold-atom laboratories.